Pages that link to "Item:Q981009"

The following pages link to What happens after a default: the conditional density approach (Q981009):

Displaying 46 items.

• Random times and multiplicative systems (Q424521) (← links)
• Default barrier intensity model for credit risk evaluation (Q464482) (← links)
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps (Q471510) (← links)
• Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
• Optimal investment with counterparty risk: a default-density model approach (Q484210) (← links)
• Portfolio optimization with insider's initial information and counterparty risk (Q486930) (← links)
• Martingale representation property in progressively enlarged filtrations (Q491187) (← links)
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula (Q544525) (← links)
• An explicit model of default time with given survival probability (Q555016) (← links)
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis (Q681997) (← links)
• Information, no-arbitrage and completeness for asset price models with a change point (Q740193) (← links)
• Dynamic credit investment in partially observed markets (Q889624) (← links)
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683) (← links)
• General dynamic term structures under default risk (Q1615894) (← links)
• Constrained LQ problem with a random jump and application to portfolio selection (Q1624199) (← links)
• Dynamics of multivariate default system in random environment (Q1679470) (← links)
• Dynamic investment and counterparty risk (Q1705168) (← links)
• The dynamic spread of the forward CDS with general random loss (Q1724436) (← links)
• Explicit pricing formulas for European option with asset exposed to double defaults risk (Q1727278) (← links)
• Default times, no-arbitrage conditions and changes of probability measures (Q1761456) (← links)
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach (Q1948694) (← links)
• Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis (Q2076599) (← links)
• On the propagation of the weak representation property in independently enlarged filtrations: the general case (Q2099994) (← links)
• A maximum principle for a stochastic control problem with multiple random terminal times (Q2128538) (← links)
• Dynamic bivariate mortality modelling (Q2152246) (← links)
• Option pricing for path-dependent options with assets exposed to multiple defaults risk (Q2183237) (← links)
• Semimartingales and shrinkage of filtration (Q2240853) (← links)
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827) (← links)
• Pricing formula for exotic options with assets exposed to counterparty risk (Q2398763) (← links)
• Progressive enlargements of filtrations with pseudo-honest times (Q2511557) (← links)
• INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS (Q2939921) (← links)
• Conditional Default Probability and Density (Q4561933) (← links)
• Some existence results for advanced backward stochastic differential equations with a jump time (Q4606386) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075) (← links)
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case (Q5086425) (← links)
• On model robustness of the regime switching approach for pegged foreign exchange markets (Q5092650) (← links)
• CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (Q5114679) (← links)
• ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS (Q5245892) (← links)
• INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (Q5299994) (← links)
• Utility maximization under risk constraints and incomplete information for a market with a change point (Q5373913) (← links)
• CONDITIONAL DENSITY MODELS FOR ASSET PRICING (Q5389098) (← links)
• Credit Derivatives Pricing Based on Lévy Field Driven Term Structure (Q5413860) (← links)
• Optimal consumption problems in discontinuous markets (Q5746732) (← links)
• Generalized Cox model for default times (Q6105368) (← links)
• Epstein‐Zin utility maximization on a random horizon (Q6146695) (← links)